Multi-state models for evaluating conversion options in life insurance

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dc.contributor.authorD'Amico, Guglielmo
dc.contributor.authorGuillén, Montserrat
dc.contributor.authorManca, Raimondo
dc.contributor.authorPetroni, Filippo
dc.date.accessioned2018-03-13T12:19:43Z
dc.date.available2018-03-13T12:19:43Z
dc.date.issued2017
dc.date.updated2018-03-13T12:19:43Z
dc.description.abstractIn this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the ageing effect. The value of the conversion option is evaluated after the formal description of this contract.
dc.format.extent13 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec676956
dc.identifier.issn2351-6054
dc.identifier.urihttps://hdl.handle.net/2445/120660
dc.language.isoeng
dc.publisherVTeX
dc.relation.isformatofReproducció del document publicat a: https://doi.org/10.15559/17-VMSTA78
dc.relation.ispartofModern Stochastics Theory and Applications, 2017, vol. 4, num. 2, p. 127-139
dc.relation.urihttps://doi.org/10.15559/17-VMSTA78
dc.rightscc-by (c) D'Amico, Guglielmo et al., 2017
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationRisc (Assegurances)
dc.subject.classificationAssegurances de malaltia
dc.subject.classificationProcessos de Markov
dc.subject.otherRisk (Insurance)
dc.subject.otherHealth insurance
dc.subject.otherMarkov processes
dc.titleMulti-state models for evaluating conversion options in life insurance
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion

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